Results 81 to 90 of about 165,609 (118)
Modelling portfolio credit risk is one of the crucial challenges faced by financial services industry in the last few years. We propose the valuation model of collateralized debt obligations (CDO) based on copula functions with up to three parameters ...
Barbara Choroś +2 more
core
[Formula: see text]-optimality in copula models. [PDF]
Stat Methods Appt, 2017 Perrone E, Rappold A, Müller WG.
europepmc +1 more source
A Review of Multivariate Distributions for Count Data Derived from the Poisson Distribution. [PDF]
Wiley Interdiscip Rev Comput Stat, 2017 Inouye D, Yang E, Allen G, Ravikumar P.
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A Bayesian copula model for stochastic claims reserving [PDF]
We present a full Bayesian model for assessing the reserve requirement of multiline Non-Life insurance companies. Bayesian models for claims reserving allow to account for expert knowledge in the evaluation of Outstanding Loss Liabilities, allowing the ...
Luca Regis
core
A copula-based multivariate flood frequency analysis under climate change effects. [PDF]
Sci RepKhajehali M +4 more
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Estimation and model selection of semiparametric multivariate survival functions under general censorship. [PDF]
J Econom, 2010 Chen X, Fan Y, Pouzo D, Ying Z.
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We present a new way of constructing bivariate copulas, by recalling and gluing two (or more) copulas. Examples illustrate how this construction can be applied to build complicated copulas from simple ones. --
Siburg, Karl Friedrich +1 more
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Impact of Copula Directional Specification on Multi-Trial Evaluation of Surrogate End Points. [PDF]
J Biopharm Stat, 2015 Renfro LA, Shang H, Sargent DJ.
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Joint meta-analysis of two diagnostic tests accounting for within and between studies dependence. [PDF]
Stat Methods Med ResNikoloulopoulos AK.
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Approximate Uncertainty Modeling in Risk Analysis with Vine Copulas. [PDF]
Risk Anal, 2016 Bedford T, Daneshkhah A, Wilson KJ.
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